skip to main content

SciTech ConnectSciTech Connect

Title: Evaluation of stochastic algorithms for financial mathematics problems from point of view of energy-efficiency

The recent developments in the area of high-performance computing are driven not only by the desire for ever higher performance but also by the rising costs of electricity. The use of various types of accelerators like GPUs, Intel Xeon Phi has become mainstream and many algorithms and applications have been ported to make use of them where available. In Financial Mathematics the question of optimal use of computational resources should also take into account the limitations on space, because in many use cases the servers are deployed close to the exchanges. In this work we evaluate various algorithms for option pricing that we have implemented for different target architectures in terms of their energy and space efficiency. Since it has been established that low-discrepancy sequences may be better than pseudorandom numbers for these types of algorithms, we also test the Sobol and Halton sequences. We present the raw results, the computed metrics and conclusions from our tests.
Authors:
; ;  [1]
  1. Institute of Information and Communication Technologies, BAS, Acad. G. Bonchev str., bl. 25A, 1113 Sofia (Bulgaria)
Publication Date:
OSTI Identifier:
22492610
Resource Type:
Journal Article
Resource Relation:
Journal Name: AIP Conference Proceedings; Journal Volume: 1684; Journal Issue: 1; Conference: AMiTaNS'15: 7. international conference for promoting the application of mathematics in technical and natural sciences, Albena (Bulgaria), 28 Jun - 3 Jul 2015; Other Information: (c) 2015 AIP Publishing LLC; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; 29 ENERGY PLANNING, POLICY AND ECONOMY; ALGORITHMS; COMPUTER CALCULATIONS; ELECTRICITY; ENERGY EFFICIENCY; EVALUATION; MATHEMATICS; METRICS; STOCHASTIC PROCESSES